Thursday, August 03, 2017

Stocks Slightly Lower into Afternoon on Less Economic Optimism, Oil Decline, Yen Strength, Telecom/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.08 -1.95%
  • Euro/Yen Carry Return Index 136.42 -.39%
  • Emerging Markets Currency Volatility(VXY) 7.63 -.26%
  • S&P 500 Implied Correlation 29.01 +5.54%
  • ISE Sentiment Index n/a
  • Total Put/Call .98 +1.03%
  • NYSE Arms 1.07 +9.71%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.12 +1.5%
  • America Energy Sector High-Yield CDS Index 430.0 -1.37%
  • European Financial Sector CDS Index 50.20 +.32%
  • Western Europe Sovereign Debt CDS Index 5.46 -.55%
  • Asia Pacific Sovereign Debt CDS Index 18.72 +.03%
  • Emerging Market CDS Index 185.58 -.99%
  • iBoxx Offshore RMB China Corporate High Yield Index 140.64 +.04%
  • 2-Year Swap Spread 24.5 +.25 basis point
  • TED Spread 24.25 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.25 +1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.94 -.05%
  • 3-Month T-Bill Yield 1.07% unch.
  • Yield Curve 90.0 unch.
  • China Import Iron Ore Spot $72.93/Metric Tonne +.87%
  • Citi US Economic Surprise Index -44.10 +1.5 points
  • Citi Eurozone Economic Surprise Index 17.10 +1.2 basis points
  • Citi Emerging Markets Economic Surprise Index 18.90 +.1 basis point
  • 10-Year TIPS Spread 1.78 -1.0 basis point
  • 17.6% chance of Fed rate hike at Nov. 1 meeting, 43.8% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -39 open in Japan 
  • China A50 Futures: Indicating +39 open in China
  • DAX Futures: Indicating +2 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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